1997-02-07Buch DOI: 10.18452/3803
A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross  conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton  we show that this is not always the case. The unbiased expectations hypothesis together with the existence of an equivalent martingale measure is equivalent to a certain condition on the volatilities of the forward rates.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 19, SFB 373 Papers, ISSN:1436-1086